Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 5 5 5
Score 4.98 9.77 7.26
Market Cap (Millions USD) 4687.05 4978.55 4683.5
Predicted Beta 0.66 0.65 0.65
Idiosyncratic Volatility 2.89 3 3.55

Annualized return and volatility

IYR
Annualized Return 0.0952
Annualized Std Dev 0.2637
Annualized Sharpe (Rf=0%) 0.3612

Row

Daily Return Statistics

IYR
Observations 4994.0000
NAs 119.0000
Minimum -0.2061
Quartile 1 -0.0053
Median 0.0007
Arithmetic Mean 0.0005
Geometric Mean 0.0004
Quartile 3 0.0066
Maximum 0.1633
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0010
Variance 0.0003
Stdev 0.0166
Skewness 0.0149
Kurtosis 21.0129

Downside Risk

IYR
Semi Deviation 0.0118
Gain Deviation 0.0132
Loss Deviation 0.0140
Downside Deviation (MAR=210%) 0.0159
Downside Deviation (Rf=0%) 0.0116
Downside Deviation (0%) 0.0116
Maximum Drawdown 0.7413
Historical VaR (95%) -0.0206
Historical ES (95%) -0.0395
Modified VaR (95%) -0.0197
Modified ES (95%) -0.0197
From Trough To Depth Length To Trough Recovery
2007-02-08 2009-03-06 2013-04-10 -0.7413 1579 535 1044
2004-04-02 2004-05-10 2004-08-31 -0.1884 106 27 79
2013-05-22 2013-08-19 2014-06-05 -0.1853 269 63 206
2002-04-15 2002-10-09 2003-05-20 -0.1838 284 127 157
2015-01-27 2016-02-11 2016-05-06 -0.1710 329 269 60

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IYR
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA NA 0.0 2.1 -0.6 0.0 0.4 0.1 0.0 2.0
2001 0.1 0.1 0.0 0.1 0.1 0.0 0.4 0.0 -2.2 1.9 0.0 0.0 0.6
2002 0.4 1.0 0.1 0.8 0.0 -0.6 -1.4 0.0 -0.3 0.6 0.0 0.0 0.6
2003 0.0 0.0 1.7 0.9 0.0 1.2 -0.4 0.0 0.7 0.0 1.3 0.0 5.5
2004 0.0 1.7 1.2 0.0 -1.1 0.2 0.0 -0.3 2.3 1.0 2.1 0.0 7.0
2005 1.5 0.9 0.3 0.0 1.4 0.9 -0.2 0.8 0.0 -1.7 1.4 0.0 5.2
2006 0.5 0.5 0.0 -1.5 2.1 0.0 -0.5 -0.5 0.0 -0.9 -0.2 0.0 -0.5
2007 -0.1 -0.6 0.0 -0.5 0.0 0.0 1.6 0.0 2.7 -3.6 0.0 0.0 -0.7
2008 3.9 0.0 4.9 2.4 0.0 0.6 0.2 0.0 -1.5 0.0 -20.6 0.0 -12.1
2009 0.0 0.0 -0.9 -3.4 4.2 1.0 0.0 -5.1 -4.2 0.0 1.3 0.0 -7.3
2010 1.8 1.0 0.5 0.0 -1.9 -0.2 0.0 3.2 0.5 0.7 0.8 0.0 6.4
2011 0.5 -2.7 0.2 0.0 -2.8 1.8 -1.3 -1.7 0.0 -3.4 -1.0 0.0 -10.0
2012 0.7 0.5 0.0 0.9 -2.5 0.0 -0.3 0.0 -0.7 0.1 0.0 0.0 -1.3
2013 0.7 0.2 0.3 -0.7 0.0 -0.5 -0.6 0.0 1.5 0.6 0.0 0.0 1.6
2014 0.0 0.0 0.6 0.8 0.0 0.3 -0.2 0.0 0.1 0.0 -0.4 0.0 1.2
2015 0.0 0.0 0.0 0.5 1.0 1.5 0.0 -1.9 0.5 0.0 1.2 0.0 2.8
2016 0.0 2.6 0.1 0.0 0.1 -0.1 0.4 -0.2 0.0 -2.2 -1.6 0.0 -1.0
2017 -1.2 -0.3 0.0 0.6 0.4 0.0 0.4 0.0 0.0 0.1 0.2 0.0 0.2
2018 -1.7 -0.3 0.0 0.7 0.3 0.0 0.3 0.0 -0.8 0.4 0.0 0.0 -1.1
2019 -0.7 -0.2 0.0 -0.1 0.0 0.3 -0.1 0.0 -1.1 -0.1 0.0 -0.6 -2.4

Row

Rolling Performance Chart

Snail Trail Chart